Re: pdf with skew and kurtosis
- From: Peter Perkins <Peter.PerkinsRemoveThis@xxxxxxxxxxxxx>
- Date: Thu, 31 Jul 2008 15:52:02 -0400
sachinsg@xxxxxxxxx wrote:
Hi,
How do I generate a pdf, given its mean, std, skew and kurtosis ?
The function 'gevpdf' (statistical toolbox) does this for a given
mean, std and skew. The function 'gevfit' fits a model of three
parameters (mean, std, skew) to any data.
That's not exactly true, the GEV dist'n is not parameterized in terms of (mean,std,skew), at least not in the Statistics Toolbox. Of course you can transform the parameters into that, which is what GEVSTAT does.
I'm looking for an extension
that also includes an additional parameter kurtosis.
See PEARSRND and JOHNSRND. They are nominally intended for generating random values (which may be what you want anyway), but you can use the second and third outputs to, in effect, fit to data. In the case of PEARSRND, you'll have to poke around a little in the code to see how the third output is related to a specific PDF, but it's all pretty clear in there.
Hope this helps.
- Peter Perkins
The MathWorks, Inc.
.
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